By Christoph Lohrmann
ISBN-10: 3668032246
ISBN-13: 9783668032248
Evaluated by means of the adjusted R² and the Akaike info criterion, the Fama-French version yields a better model-fit than the CAPM. The changed Fama-French version with an AR(2) technique results in major effects for the two times lagged go back within the version in 4 out of six validated portfolios. for that reason, the in-sample regression unearths a better model-fit of the transformed Fama-French version with AR(2) compared to the opposite 3 versions.
Since the consequences fluctuate from a regression within the next interval, the consequences are probably spurious. however, the authors convey the high-er model-fit of the Fama-French 3 issue version in terms of the CAPM.
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Comparison of the CAPM, the Fama-French Three Factor Model and Modifications (Aus der Reihe: e-fellows.net stipendiaten-wissen) by Christoph Lohrmann
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